I remember reading a reddit thread that detailed the broad outlines of one of Renaissance's trading strategies. From memory it was basically arbitraging indexes of certain groups stocks by buying/selling the underlying stocks using leverage when the index deviates from the price of the assets. They used predictive modelling from lots of data sources to determine when this would occur.<p>Does anyone have the link?
I recently read Reanaissance co-founder Jim Simon's biography [1]. It seems like they discovered some secret algorithmic sauce that nobody else has found. But that feels implausible. Would love to understand what really gave them their edge.<p>[1] <a href="https://www.amazon.com/Man-Who-Solved-Market-Revolution/dp/073521798X" rel="nofollow noreferrer">https://www.amazon.com/Man-Who-Solved-Market-Revolution/dp/0...</a>
I interviewed with them way back in 2006, but regrettably did not get the job. I was also interviewing with a lot of other banks and hedge funds at the time but these guys really stood out. I was impressed just how friendly and seemingly happy everyone was. It felt more like a university research lab than a trading firm. Everyone had their own private office and they ate lunch together at the cafeteria. One guy told me with eyes wide open: "If you get this job you'll never want to leave".<p>Interview questions were standard fare, the usual brain teasers; one guy was really obsessed with calculating covariance matrices. They had a wood-panelled library with all the scientific journals where I spent the time between interviews. The gentleman who was guiding me through the interview process told me how their brokers were constantly front-running their trades so a big issue for them was keeping their market impact minimal.<p>During the interview I offered some potential ideas for alpha: having done some research on these guys before the interview I knew they had experts on voice recognition so I suggested they could put a microphone in the trading floor and gauge sentiment via spectral analysis. They really liked the idea. Trading floors no longer exist so this alpha is long gone, if it ever worked at all!<p>But alas - their alpha is simply skill and hard work - there are no shenanigans or insider trading going on there. It's just time-series regression done perfectly. I bet at the time they were not using anything fancier than linear regression. But considering how large their data team was they probably had access to datasets (even today) which give them tremendous edge. Data is oil in this field.<p>The book "MindF*ck" [0] briefly describes a project within RenTec to build a statistical behavioural model of every individual citizen the USA, fed by enormous public and private databases. From this behaviour they could anticipate consumer patterns which could predict the markets way ahead of anyone else. The insane level of ambition in these projects gives you a clue as to the level of technology they potentially might have.<p>[0] <a href="https://www.goodreads.com/en/book/show/52269471" rel="nofollow noreferrer">https://www.goodreads.com/en/book/show/52269471</a>
I read the transcript first and then checked out the audio to get a flavor of it. Maybe it's just because I read it first, but it almost sounds like Brown is reading his answers from a sheet. And/or there's some automatic removal of pauses.<p>I thought the term "transducers" (instead of transformers) might have been a transciption error, but that's really what he says.
It's not that hard to find good quant strategies. A strategy that goes long QQQ at the market open and shorts Bitcoin, equal allocation, and then closes both position at closing bell, has posted very good returns all year<p>very easy $<p>I imagine this could be scaled up with other strategies such as what Renaissance Technologies is doing. I am running this now and had my biggest year ever